RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 2
Pages: 598-631

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and only require a tail condition on the data sequences. The theoretical results show that the bounds are also valid in the case of time varying combination weights.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:02:p:598-631_10
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29